We examine the relation between exchange rate variability and stock return volatility for U.S. multinational firms and decompose this relation into components of systematic and diversifiable risk. Focusing on two five-year periods around the 1973 switch from fixed to floating exchange rates, we...

This paper examines the information content of two different measures of aggregate equity-market order flow for future macro fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for industrial...

This paper examines common effects in monthly imbalances for New York Stock Exchange stocks over the period 1988 through 2004. Order imbalances for both individual stocks and portfolios display size and book-to-market based commonality that transcends marketwide effects. The three common factors...

Studying major currencies versus the U.S. Dollar, this paper makes two contributions. First, we document strong comovement in both intraday and daily currency spreads. We also show that currency spreads co-move with aggregate U.S. equity market spreads. Thus, comovement in liquidity is even more...

This paper examines the information content of two different measures of aggregate equity-market order flow for future macroeconomic fundamentals and expected stock market returns. The first measure, the cross-sectional average of individual stock order flows, predicts future growth rates for...

This paper examines common effects in monthly imbalances for New York Stock Exchange stocks over the period 1988 through 2004. Order imbalances for both individual stocks and portfolios display size and book-to-market based commonality that transcends marketwide effects. The three common factors...

We study the effects of economic conditions and destabilizing events on the aggregate asset allocations of mutual fund investors. In the universe of U.S. mutual funds between 1991 and 2008, we find that excess flow is consistently related to proxies for economic conditions. An expected...

This paper examines common effects in monthly imbalances for New York Stock Exchange stocks over the period 1988 through 2004. Order imbalances for both individual stocks and portfolios display size and book-to-market based commonality that transcends marketwide effects. The three common factors...

We hypothesize that a combination of indexing, industry and broader market forces create common effects in order flow and returns. We test the relative contribution of each to common effects in large samples of both index and non-index stocks. Common effects are strong in index constituent...

In this paper, we use index addition to gain insights into the trading behavior of informed traders. When a stock is added to the Samp;P 500 index, it attracts permanent interest from index funds, which are, by definition, liquidity traders. Consequently, this event is associated with an...